DONG VdN QU6C r f VA s u PHATTRIEN KINH Tf - VAI TRJ) CUA OO MdTAi CHfNH
Dong von quoc te va sU phat trien kinh te vai tro cua do m d tai chmh
Nguyen Thi Ngpc Trang"'* Phan Gia Quyen"'
Ngay nhan bai: 12/8/2016 I Bien tap xong: 02/3/2017 I Duyet dang: 10/3/2017
TOM TAT: SCf dung dCf lieu cua 89 quoc gia phat trien va dang phat trien trong giai doan 1995-2014, nghien cu'u phan ti'ch su* djch chuyen cua dong von quoc te (DVQT) tuan theo ty thuyet tan co dien hay Nghjch ly Lucas. Bang phu'dng phap Udc IUdng GMM he thong hai bUdc, nghien cu'u t h u dUdc l<et qua: (I) dong von djch chuyen tu" cac quoc gia ngheo sang cac quoc gia giau khi cac quoc gia nay hpi nhaptaichi'nh, dong nghTa vdi nghjch ly Lucas ton tai trong trUcfng hdp nay; (Ii) thuc day sU phat trien kinh te (PTKT) cang nhanh, Viet Nam va cac quoc gia khu vUc ASEAN thu hut du'dc cang nhieu von quoc te so vdi cac quoc gia khac trong mau nghien cu'u; (iii) cac bien so nhan khau hpc va kinh tevTmo CO anh hUdng dang ke doi vdi viec thu hut DVQT.
Ttr KHOA: dong von quoc te, sU phat trien kinh te, do m d t a i chi'nh, GMM he thong hai bUdc
LGidFi thieu
Von 1^ tai san diJdc tao ra tiJ giao dich quoc te vk chay tif quoc gia nay sang quoc gia khac de dau tif nham ha6ng ldi trong tiitfng lai. Dieu nay cho thay, thUdng mai co tacfng quan chat che vdi san xuat ma trong do, von dong vai tro quan trpng. Do vay, san xuat la mat xich trung tam trong cac ly thuyet kinh te.
Dieu nay dan den cac ly thuyet tang trUctng co dien va tan co dien tap trung vao ty le gii3a lao dong va von dUOc tao ra tfi viec tang nang suat.
Su khac biet chu yeu la vai tro cua cong nghe diTOc xac dinh \k yeu to on dinh trong cac ly thuyet CO dien, trong khi theo cac ly thuyet tan CO dien, cong nghe co tam quan trong tUcfng tu von va nguon nhan lUc. Cac nghien cdu sau nay cua TrUdng phai tan co dien tap trung vao nang suat bien nham tim ra ty le ly tudng giiia so lUdng lao dong va tien luong de toi da hoa
v6n. Theo ly thuyet tan co dien, von chay tii cac quoc gia phat trien sang cac quoc gia dang phdt trien, hay noi mot each khac, cac quoc gia giau dau tu von sang cac quoc gia ngh^o nham tao ra lpi nhuan cao vi cac nUdc kem phat trien co chi phi Iao dong thap han.
Tuy nhien, khi so sanh nang suat bien cua von tai My va An Do vao nam 1988, Lucas (1990) da phat hien mot nghich ly. Theo mo hinh tan c6 dien, dong von chay tif My sang
HI NguySn Thi Ngoc Trang - Tri/cfng Dgi hgc Kinh te TP.HCM; 279 Nguyen Tri Phi/cfng, P.S, Q.10, TP. Wh Chl Minh; Email: [email protected].
(2) Phan Gia Quyen - Ngan hang TMCP Sii Gon ThUtJng Tin; 265 - 268 Nam Kl Khdi Nghia, P.6, Q.3, TP. Ho Chf Minh; Email: giaquyen210(§)gmail.com.
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NGITTEN TH! NGOC TRANG • PHAN GIA QUYEN
An Dp, tuy nhien, sU ki?n thUc te da dien ra theo chieu ngugc lai, ttfc la dong von chay tii An Dp sang My. Ly giai nghich ly nay, tac gia cho rang von khong chay den cac quoc gia ngheo do tai do, von nhan life thap va thi trudng khong hoan hao.
Sau khi Nghich ly Lucas dUpc phat hien, nhieu nghien cutu da dUpc thUc hien vdi muc dich tim kiem cac giai thich hdp ly ve sU dich chuyen ciia DVQT. Tuy nhien, cac nghien ojfu nay giai thich sti dich chuyen DVQT chu yeu dUa vao chat lUcfng the che va do md tai chinh chU khong dUa ra cac bang chdng thUc nghiem de ly giai phat hien cua Lucas (1990). Hon nita, hau het cac nghien cUu trUdc day tap trung vao ba thap ky cuoi cua the ky XX.
Dua vao y tUdng ciia Reinhardt va ctg (2013) xem xet sif djch chuyen ciia DVQT tif goc do do md tai chinh va sU PTKT, nhom tac gia thUc hien nghien ciiu nay nham kiem chiing dong vdn chay tif cac quoc gia ngheo sang cac qudc gia giau (Nghich ly Lucas) hay tif cac quoc gia giau sang cac quoc gia ngheo (ly thuyet tan co dien) bang viec sii dung dii lieu cua 89 quoc gia phat trien va dang phat trien trong giai doan 1995-2014.
2. Khung ly thuyet va tong quan cac nghien cuTu
Cdng trinh ciia McKinnon (1973) - mpt trong nhiing nghien ciiu tien phong ve sU anh hudng cua cac yeu to den su di chuyen cua DVQT chi ra, chinh tri, kinh nghiem thuoc dja (colonial experience) va nguon nhan lUc cd the giai thich dUflc sU khac biet ve trinh dp phat trien gifla cac quoc gia. Theo quan diem cua tac gia nay, cac qudc gia thanh cdng ve PTKT chii y den he thdng ngan hang. Ong ciing nhan manh vai trd cua lam phat d cac quoc gia dang phat trien vi cac nha dau tU nUdc ngoai cd the bi hap dan bdi lai suat cao. Dieu nay phii hop vdi ly thuyet tan co dien la ddng vdn bi chi phdi bdi sU chenh lech lai suat gifla cac quoc gia.
Neu khdng tdn tai rao can nao trong sU dich chuyen vdn L;IU J cac quoc gia, von chay tfl ndi cd t>' suat sinh lpi thap (chang han, cac quoc gia cd thi trUdng tai chinh phat trien, sU dii
thfla tucmg doi ve vdn) den ndi cd ty suat sinh ldi cao (cac qudc gia nhan cd sU khan hiem vdn tUdng ddi, chang han cac nUdc dang phat trien). Hdn niia, tac gia nay khang dinh, viec han che nhap khau va ho trd xuat khau ddng vai trd quan trpng trong viec lam tang Ifldng ngoai te luu thdng trong qudc gia. Do dd, hanh dpng nay cho thay each ma chinh phii cd the kiem soat thi trUdng tai chinh npi dia thdng qua viec sfl dung cac cdng cu va chi'nh sach khac nhau. Ngoai ra, theo Iy thuyet ciia Sibert (1985), trong dieu kien cd rao can doi vdi sU dich chuyen ddng von giiia cac quoc gia, chang han van de ve thue, viec danh thue cao khdng khuyen khich cac nha dau tU nUdc ngoai va vi the lam giam dong vdn chay vao.
Nhfl trinh bay tren, Lucas (1990) phat hien nghich Iy ve sfl dich chuyen DVQT - von dich chuyen tfl cac qudc gia ngheo sang cac qudc gia giau. Cu the, Lucas (1990) phan tich nang suat bien cua von d An Dp va My.
Neu md hinh tan cd dien dung thi nang suat bien cua An Dp phai gap 58 lan chi tieu nay Clia My. Tuy nhien, dieu nay khdng dung nhfl ky vpng cua ly thuyet tan cd dien. Theo quan diem cita Lucas, cd hai nguyen nhan chinh.
Nguyen nhan dau tien nam trong sU khac biet ve vdn nhan lUc - vdn nhan lUc cd the khac nhau d cac qudc gia dUdc phan tich. Dd la ly do tai sao dng gia dinh rang vdn nhan lUc cd the la nhan td giai thich dfl^c sU khac biet so vdi md hinh tan cd dien. Nguyen nhan thfl hai la sfl khdng hoan hao cua thi trfldng vdn. Tac gia nay lap luan rang, cac quoc gia ngheo mua vdn tii cac nen kinh te tien tien va tra lai sau dd. Do dd, ddng ldi nhuan tii viec
"ban vdn" chay tU cac qudc gia ngheo sang cac qudc gia giau. Tuy nhien, tdn tai rui ro xuat phat tfl viec cac qudc gia ngheo khdng tuan thii cac nghia vu ciia minh va cd the cat dflt moi quan he vdi cac nha dau tU. Neu dieu nay xay ra, cac qudc gia giau cd the khdng cho cac qudc gia ngheo vay von trong tfldng Iai. Su khdng hoan hao nay dUdc gpi la "rui ro chinh tri".
Ngoai ra, Lucas (1990) gdi y, thue nang (hea\y taxation) d cac qudc gia dang phat trien
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DOm VON QUOC TtVASUPHATTRlflintlHTf'VAITIijI CUA OtMdTAlCHtNH
hoac viec ap dat cac rang bupc ve dong von vao cung co the la cac nguyen nhan. Ong cung khing dinh ring khong co sU dich chuyen lao dgng giCta cac quoc gia tnidc giai doan 1990, tuy nhien, dieu nay khong con chinh xac trong the ky thii XXI b6i vi ngay nay, liic lilgng Iao dong di chuyen ra nU6c ngoai de dang hon.
Tuy nhien, Lucas nhan dinh rang, rui ro chinh tri la yeu to quan trong can trd dong von chay vao.
Phat hien cua Lucas (1990) thuc day cac nha nghien ciiu thiic hien phan tich sau hon ve sii dich chuyen ciia DVQT va ly giai cac nguyen nhan dan den von dich chuyen theo hUcfng khac so vdi ky vpng ciia ly thuyet tan CO dien. Trong do, cac nghien ciiu tap trung vao cac yeu to chat liiong the che (Wei, 2000;
Wei va Wu, 2002; Lothian, 2006; Noy va Vu, 2007; Okada, 2013; Brafu-Insaidoo va Biekpe, 2014), dac diem kinh te vi mo (Lane va Mile- si-Ferretti, 2001; Mody va Murshid, 2005;
Lothian, 2006; Chinn va Ito, 2007; Rajan, 2008;
Kose va ctg, 2009; Kameli-Ozcan va ctg, 2010) hoac dp md tai chinh (Montiel va Reinhart, 1999; Desai va ctg, 2004; Asiedu va Lien, 2004;
Neumann, 2006; Elo, 2007; Reinhardt va ctg, 2013; Brahi-Insaidoo va Biekpe, 2014) de giai thich sii djch chuyen DVQT. Tuy nhien, cac nghien ciiu nay chiia dUa ra cac bang chiing thuyet phuc cho sU dich chuyen dong von tii cac quoc gia ngheo sang cac quoc gia giau theo nhu phat hien cua Lucas (1990). Han nfla, hau het cac nghien ciiu trudc tap trung chu yeu vao ba thap ky cuoi ciia the ky XX. Do dd, viec cung cap bang chiing thitc nghiem ve sii dich chuyen ddng von trong giai doan gan day la dieu can thiet.
Mat khac, cac nghien ciiu neu tren tap trung phan u'ch mau dQ lieu cua nhieu quoc gia tren the gidi hoac mpt so quoc gia cd vai trd quan trpng trong PTKT the gidi nhu My, Anh, Phap. Nhat Ban, Trung Quoc. Tuy nhien, viec nghien cilu DVQT cua Viet Nam hay cua cac qudc gia thupc khu vile ASEAN (cac quoc gia dang phat trien) vdi sii khac biet so vdi cac qudc gia cdn lai tren the gidi chua diipc quan tam dling mile.
3. Phiftfng phap nghien ciiTu De thilc hien phan tich anh nildng cua su PTKT den DVQT va vai trd cua dp md tii chinh trong moi quan he giQa PTKT va DVQT, nhdm tac gia sil dung so li^u cua cac quoc gia p h i t trien v i dang phat trien trong giai doan 1990-2014 diioc thu thap tit ngudn d a li?u Chi bao phat trien the gidi (WDI) cua World Bank (2014), Chinn va Ito (2008) v i n h d m Dich vu riii ro chinh tri (PoUtical Risks Services). Tuy nhien, nhdm tac gia nhan thay ring, dii Ii?u dp md tai chinh trong giai doan 1990-1994 khdng day dii d hau het cac qudc gia. Do dd, nhdm tic gii chpn giai doan nghien cilu 1995-2014.
Ddng thdi, nhdm tac gia loai bd cac qudc gia thieu dil lieu hoac cac qudc gia p h i i ddi mat vdi cac rui ro kinh te va chinh tri cao. Vi v^y, mau nghien cilu cudi cung bao gdm 89 qudc gia phdt tri^n v i dang p h i t trien trong giai doan 1995-2014.
Md hinh thiic nghidm cua nghien ciiu diia tren de nghi cua Jeanne (2012), Reinhart va ctg (2013):
' " ' " " ^ ) . = a + p,GDPPPP|,, + p,Kaopen,,,
°°^ " +'|3jKaopen,,*GDPPPP„
+ yX^, + E^^ (1)
Trong dd: bien phu thudc t — ^ 5 ^ — ' K - ddng vdn ra rdng duoc dai dien bang bifo tii k h o i n vang lai Ca., trong tat ca cac phuang trinh ildc laong theo Reinhart va ctg (2013);
GDPPPP,,, - Sll PTKT duoc tinh toin bang logarith tu nhien cua GDP tren dau ngUdi theo ngang gii silc mua; Kaopen^ ^^ - dd md tai chinh; Kaopen , ,»GDPPPP^,, - i n h hiidng tuong tac ciia sil PTKT va dd tiid tai chinh; E, - sai sd.
Cac he sd quan trpng trong nghien ciiu n i y l i p^, f,^. p^ duong v i cd y nghia thdng ke ham y rang, cac quoc gia giau (nghto) nhan it (nhieu) vdn v i o trong tnidng hpp md cila tii chinh; neu (p,+ p,) > 0 va cd y nghia thdng k4, thi ddi vdi cac qudc gia md ciia tii chinh, ddng vdn chay til cac qudc gia giiu sang c i c qudc gia nghio (theo ly thuyet tan cd dien); neu p khdng cd y nghia thdng ke hoac la he sd am
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NGUVEN T H I KGOC TRANG • PHAN GIA QUY£N
va cd y nghia thdng ke, thi DVQT dich chuyen tfl cac quoc gia ngheo sang cac qudc gia giau (Reinhardt va ctg, 2013).
Vec td bien kiem soat X.^ bao gdm cac bien kiem soat dUdc tim thay la cac nhan td quan trpng d^ xac dinh ddng vdn rong cua quoc gia trong cac nghien cflu tnfdc: can can ngan sach (Fiscal) (Aristovnik, 2006;
Rahman, 2008; Medina va ctg, 2010; Unevska va Jovanovic, 2011; Reinhardt va ctg, 2013), ty Ie phu thupc cua ngfldi cao tudi (Age) (Chinn va Prasad, 2003; Masson va ctg, 1998;
Lane va Milesi-Ferretti, 2012; Reinhardt va ctg, 2013), tdc dp tang trUdng dan sd (Popgr) (Medina va ctg, 2010; Prati va ctg. 2011;
Unevska va Jovanovic, 2011), vi the tai san nUdc ngoai rdng (NFA) (Chinn va Prasad, 2003; Unevska va Jovanovic, 2011; Reinhardt vactg, 2013; Hui, 2015), thu tfl dau thd (Oil) (IMF, 2006; Rahman, 2008; Morsy, 2009;
Reinhardt va ctg, 2013), tdc dp tang trudng kinh te (GDPPCGR) (Chinn va Prasad. 2000;
Rajan, 2008; Unevska va Jovanovic, 2011;
Reinhardt va ctg, 2013), vien trd nUdc ngoai (Aid) (Alfaro va ctg, 2011; Reinhardt va ctg, 2013), dp md thUdng mai (Trade) (Chinn va Prasad, 2003; Aristovnik, 2006; Unevska va Jovanovic, 2011; Reinhart va ctg, 2013) va dieu kien thUdng mai (TOT) (Chinn va Prasad, 2003; Reinhart va ctg, 2013).
Tiep theo, nhdm xem xet sU khac biet ve mdi quan he gifla sU PTKT va DVQT cua Viet Nam \'a cac nfldc ASEAN so vdi cac qudc gia khac trong mau nghien cflu, nhdm tac gia dfla bien tUdng tac gifla bien gia dai dien cho Viet Xam (cac qudc gia thudc khu vUc ASEAN) va bien tfldng tac sfl PTKT va dp md tai chinh vao phfldng trinh (1). cu the nhfl sau:
^ Out Flows^ = a + p , G D P P P P ^ j + p^Kaopen^^
GDP " +'pjKaopen,,,*GDPPPP_^
+ p^Kaopenll, * GDPPPp'" \
* Dummy + yX^ + E (2) Trong dd: Dummy^ bang 1 khi qudc gia danj - em xet la Viet Nam (hoac cac qudc gia thu' - khu Vlic ASEAN) vk ngfldc Iai, bang 0;
he so p^ - sU khac biet ve anh hudng tUdng tac cua sU PTKT va dp m d tai chinh den DVQT giiia Viet Nam (hoac cac quoc gia thudc khu vflc ASEAN) so vdi cac quoc gia cdn lai trong mau nghien cflu. Cac bien con lai tUdng tU cac bien da dfldc trinh bay trong phfldng trinh (1).
Nghien cflu sfl dung phfldng phap fldc Ifldng GMM he thong hai bflde de hdi quy md hinh vdi h ^ ly do: (i) phfldng phap Udc Ifldng GMM cd the kh5c phuc cac van de ndi sinh, phfldng sai thay ddi va tfl tfldng quan; (ii) phfldng phap Udc lUdng GMM he thdng hai bflde cho ket qua Udc lupfng tdt hdn so vdi GMM sai phan hai bflde (Arellano va Bover, 1995; Blundell va Bond, 1998). Ddng thdi, nghien cflu gia dinh rang tat ca cac bien trong phfldng trinh hoi quy deu ndi sinh va sfl dung gia tri dp tre hai ciia cac bien npi sinh lam cac bien cdng cu dfla vao de nghi cua Mileva (2007).
Cudi cung, nghien cflu danh gia thdi diem cac qudc gia hpi nhap tai chinh trong mdi quan he gifla sfl PTKT va DVQT bSng each sfl dung phfldng phap nghien cflu sfl kien tiidng tfl phfldng phap ma Reinhart va ctg (2013) da sfl dung. Md ta chi tiet va ket qua cua phfldng phap nghien cflu sif kien dfldc trinh bay trong phan 4.3.
4. Ket qua nghien ciVu
TrUdc khi tien hanh Udc lUdng md hinh hdi quy ve anh hfldng tfldng tac cua sU PTKT va dp md tai chinh den DVQT, nhdm tac gia thiic hien thdng ke md ta cac bien dUdc sfl dung (Bang 2). Tai khoan vang lai cd gia tri trung binh -0,023. gia tri nay xap xi gid tri trung binh tai khoan vang lai trong nghien cflu cua Reinhart va ctg (2013). Ddng thdi, gia tri dp lech chuan cua tai khoan vang lai trong nghien cflu nay cao hdn so vdi Reinhart va ctg (2013).
Nhfl vay, ddi vdi m i u nghien cflu cua nhdm tac gia, tai khoan vang lai cd stf bien dpng manh hdn. Nguyen nhan la do trong giai doan nghien cflu (1995-2014), da xay ra hai cupc khung hoang - khung hoang tai chinh chau A (1997-1998) va khung hoang tai chinh toan cau (2008-2009). Vi vay, sfl bien dpng cua tai khoan vang lai raanh hdn so vdi mau nghien
So 132 Thang 3.2017 TAD CHI CONG NGH^ NGAN HANG 9 1
DONG mn nuim Tf vA su PiUTTRif N KIKH TC-VAI TRO CUA DO MOTAI CH(NH
B a n g 1 : M o t a c a c b i e n
••S^HHl^Smi^^^^^lHRn^^H^^^HilE^H
Tai khoan vang rai
SLf PTKT
06 mcf tai chi'nh
Can can ngan sach Ty le phu thuoc cCia ngi/cfi cao tuoi Toe do phat trien dan so Tai san rong niSdc ngodi Thu ti/'dau tho Toe do tSng trJcfng kinh te Vien trd nu'dc ngoai Dieu ki^n thiTdng mai Do md thUtfng mai Tin dung ti/nhan Toe do tang tru'dng tin dung tunhan Chat liri;fng the che
CA
GDPPPP
Kaopen
Fiscal
Age
Popgr
Nfa
Oil Gdppcgr
Aid
Tot
Trade
Credit Credttgr
Institutions
Tai khoan vang laf tren GOP
Logarith tu" nhien cua tong san pham quoc npi tren dau ngi/cfi (dUdc ti'nh theo ngang gia su'c mua]
Chi so do mcf tai chi'nh
Chenh lech gtCra thu va chi cua chmh phii tren GDP
Ty le so lu'dng ngu'di hdn 64 tuoi tren tdng dan so trong do tuoi lam viee (diTdc xac dinh bang nhom tuoi t f l 15-64)
Toe dp t3ng dan so
Tai san rong niidc ngoai tren GDP
Thu tLf dau tho tren GDP
Tfic do tang trifdng cCia GDP tren dau ngflcfi nam t so vdi nam t-1
Vien trd ni/dc ngoai tren GDP
Logarith tu" nhien cOa xuat khau tren nh?p khau
Tong xuat, nhap khau tren GDP
Tin dyng khu vu'c tti nhan tren GDP Toe do tang tru'dng cua ti'n dung tfl nhan
Tdng 12 thanh phan bao g6m si/dn djnh chi'nh phu, cac dieu kien kinh te xS hpi, tieu su" ve dgu tfl, mau thuan npi bp, mau thuan ben ngoai, su tham nhOng, quan dpi trong hoat dpng ehinh trj, cang thang ton giao, luat phap va an ninh, cang thing dao duTc, trach nhiem giai trinh ve mat dan chu, va chat lu'dng bo may t6 chu'c.
World Bank
World Bank
Chinn va Ito (2008) World Barik
World Bank
World Bank
World Bank
World Bank World Bank
World Bank
World Bank
World Bank
World Bank World Bank
PRS
cilu Clia Reinhart va ctg (2013). Cac tac gia nay chon giai doan 1982-2006 va sil dung phuong phap trung binh truot dan den cac bien trong bai nghien cilu it bien dpng hon.
Ben canh do, chi so do mo tai chinh cua Chinn va Ito co gia tri trung binh la 0,332 va do lech chuan xap xi 1,525. Dieu nay cho thay, trong giai doan nghien cUu cua nhom tac gia nay, chi so do md tai chinh cua cac
quoc gia co do bien dong kha I6n. Vi cac quoc gia nay dang trong qua trinh hoi nhjp quoc te manh me.
4.1. Ket qua h6i quy
Bang 3 trinh bay ket qua Ucfc Iuong ve tac dong cua sU PTKT, dp md tai chinh va bien tuong tac cua hai bien nay den DVQT bang phuong phap vhSc luijng GMM h^ thong hai
: ^ CONGNGHlNGANHANe ] Thang 3.2017 1 So 132
NGUTEN THI w o e TRANG • PHAN GIA QUVf N
CA GDPPPP Kaopen Fiscal
Age Popgr
Nfa Oil Trade
Tot Credit Creditgr Institutions
Reserve
Bang 2: Tiiong ke mo ta cac bien
-0,023 8,808 0,332 -0,037 0,104 0,016 0,166 0,055 0,817 2,867 48,233
0,035 64,626
0,183
0,085 1,160 1,525 0,690 0,064 0,015 0,272 0,124 0,573 12,568 48,271 0,179 13,178 0,223
-0,653 5,826 -1,889 -25,920
0,004 -0,021 -0,980 0,000 0,000 -42,309
0,802 -1,966 0,000 0,000
0,500 11,466 2,390 0,403 0,421 0,173 2,317 0,733 4,553 52,784 311,063 1,354 94,000 2,586
^^rsni^M
1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780 1.780
biidc vdi CA la bien phu thupc. Ket qua cho thay, moi tiiong quan giiia sti PTKT va tai khoan vang lai (CA) la nghich va co y nghia thong ke d nnic 1%. Dieu nay ham y rang, ly thuyet tan co dien ve DVQT khong phu h(?p vdi cac quoc gia nghien ciJu trong dieu kien hpi nhap tai chinh. Bang chiifng nay phu hpp vdi cac ket qua dUpc tim thay bdi Alfaro va ctg (2011), Reinhart vactg (2013) khi ho cung cap bang chOfng cho Nghich ly Lucas vdi dong vien trp va tai khoan vang lai lan \tiat dai dien cho DVQT
Tiep theo, nghien ciiu xem xet sti tac dpng tiidng tac cua sti PTKT va dp md tai chinh den DVQT thong qua bien tiiang tac GDPPPP(-l)
* Kaopen(-l). Vi he so bien tUPng tac am, cd y nghia thong ke d miic 1 % va Idem dinh F1 - test bdc bo gia thuyet H^ trong ca ba trUdng hpp, nhdm tac gia nhan thay, moi quan he gifla sti PTKT va tai khoan vang lai phu thupc vao dp md tai chinh ciia quoc gia. Cu the, vdi cac qu6c gia tien den sti md cfla tai chinh hoan toan, sti ha thap trong sfl PTKT lam tang tai khoan vang lal Dieu nay cho thay, ky vpng cim ly thuyet tan c6 dien (ddng von chay til cac nfldc phat trien den cac nfldc k^m ph^t trien) bi bac bd va ton tai Nghich ly Lucas (ddng von chay tfl cac nfldc
cd thu nhap thap sang cac nfldc co thu nhap cao) trong mau nghien cflu cua nhom tac gia.
Tfl cac ket qua tren, cd the nhan thay rang, doi vdi cac quoc gia trong m5u nghien cflu, tdn tai Nghich ly Lucas trong tnidng hpp cac quoc gia cd hpi nhap tai chinh.
He so cua bien dp md tai chinh Kaopen la dflOng va cd y nghia thong k^ d mflc 1%, ham y rang, cac quoc gia cd dp md tai chinh vao thdi ki trfldc cang cao cang thiic day sU tang cua can can t^i khoan vang lai trong thdi ki nay. Phat hien nay phu hpp vdi Papaioannou (2009), Brafu-Insaidoo va Biekpe (2014).
Nguyen nhan cd the la do chi phi giao dich ciia cac quoc gia co dp md tai chinh cao thap hdn so vdi cac doi tac quoc t^ v^ do dd lam tang tai khoan vang lai (Dunning, 1979). Tuy nhien, sfl anh hfldng tong the cua dd md tai chinh den tai khoan vang lai cd the la tich cflc hoac tieu ciic, tiiy thupc v^o mflc thu nhap cua quoc gia. Cu the, cac quoc gia vdi thu nhap thap cd anh hfldng tich ctic d^n tai khoan vang lai va ngflpe lai, cac quoc gia vdi thu nhap cao se CO tac ddng tieu cflc. Bang chflng nay trai ngfldcvdiReinhart vactg (2013), mdt lan nfla cho thay ly thuyet kinh te tan c6 dien khdng phii hpp trong nghien cflu cua nhdm tac gia
So 132 ; Thang3.2017 ; TAPCHICANGNGHtNGANHANG 9 3
DONG ViSS QUdC TfVA s u PHAT TRlfN KINH TC ' VAI TRO CUA DO MGITAI CHlNH
Bang 3: Ket qua t/ctc liictng moi quan he giCfa siJ PTKT va tai klioan vane ^ ^ ^
GDPPPP(-I)
Kaopen(-l)
Interactive
InteractiveVn
InteractiveAsean
Fiscal
Age
Popgr
Nfa(-I)
Oil
Gdppcgr
Aid
Trade
Tot
H? sfi Chan
ARID AR(21 Hansen Fl test F2 test
-0,001 (-0,34) O,007***
(5,17)
0,149"*
(7,9)
•0,162'"
(3,34) 0,555*"
(4,86) 0,003 (0,87) -0,177'"
(-16,74) 0,158"*
(13,53) 0,288*"
(11,39) - 0 , 0 0 4 " *
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-0,007***
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(4,06) -0,004***
(-3,6)
0,176***
(12,65) 0,222***
(6,36) 0,492***
(5,03) 0,012***
(3,28) -0,166***
(-13,65) 0,099***
(7,24) 0,304***
(13,5) -0,0002
(-0,06) -0,008***
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(1,99) 0,881 0,270 1,000 0,000
-0,008***
(-3,77) 0,045***
(3,59) -0,004***
(-3,26) -0,004**
(-2,22)
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(4,62) 0,496***
(5,87) 0,012***
(2,91) -0,162***
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(6,45) 0,278***
(13,9) -0,005*
(-1,71) -0,009***
(-56,9) 0,041**
(2,42) 0,855 0,287 1,000 0,000 0,000
-ij.o. •••
1-J,S9) 0,031**
12,261 -0,003*
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- 0 , 0 0 1 "
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(4,67) 0,510***
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(12,06) -0,007*** '-''Wi
(-2,7) ! -0,008***
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(1,95) 0,823 0,276 1,000 0,000 0,000 Interactive, InteractiveVn vi InteractiveAsean lan tUdt la cac bien tddng tic giffa d& md tai chfnh va s^/ PTKT cua toan bq mSu, cua Vi$t Nam va cua cac quoc g.a ASEAN. Fl va F2 test iSn IUdt la ki^m dinh F-test d6i vdi inh hddng cua d$ md tai chi'nh den m6i quan he giffa DVOT va sdPTKT vi doi vdi si/ khac biet cua Vi^t Nam (ASEAN)
so vdi cac QUOC gia con lai. -, ** '— cd cac m&c jf nghTa thong ke lan li/^t la 10%, 5%, 1%.
va thay vao dd la sfl hien dien cua Nghich ly Lucas.
Hon nfla, ket qua fldc iflpng trong
trUdng hdp sfl d u n g bien tfldng tac giiia GDPPPP(-l)*KaQpen(-l) va bien gia Vi§l Nam (dfldc ky hieu bang InteractiveVn) vk
9 4 TAPCHICdNGNGHENGANHANG 1 Thang3.2017 | Sd132
NGUYEN THj NGOC TRANG • PHAN GIA Q U Y £ N
bien gia cac quoc gia thudc khu vtic ASEAN (dfldc ky hieu bang InteractiveAsean) dfldc the hien trong cac cpt (2). (3) cua Bang 3.
Ket qua cho thay, Viet Nam va cac nfldc trong khu vflc ASEAN cd anh hfldng khac biet dang ke so vdi cac quoc gia cdn lai trong mau nghien cflu. Cu the, trong dieu kien hpi nhap tai chfnh nhfl nhau, sfl tang len trong sfl PTKT keo theo sfl sut giam nhieu h d n trong tai khoan vang Iai cua Viet Nam va ciia cac nfldc khu viic ASEAN mpt mflc lan Ifldt la 0,004 va 0,001 so vdi cac quoc gia cdn lai trong mau nghien cflu. Ndi mdt each khac, Viet Nam va cac quoc gia khu vflc ASEAM cd ddng von chay ra it h d n so vdi cac quoc gia trong mau nghien cflu khi cd dp m d tai chlnh nhfl nhau.
Ben canh dd, cac bien Idem soat cd anh hfldng nhat dinh den bien tai khoan vang lai.
Cu the, can can ngan sach, ty le phu thupc ngfldi cao tuoi, tdc dp tang dan so, tai san midc ngoai rdng, tdc dp tang trfldng kinh te, va vien trp nfldc ngoai cd mdi quan he cung chieu vdi tai khoan vang lai d mflc y nghia thong ke 1%.
Ket qua nay cho thay, cac quoc gia cd can can ngan sach thang dfl cang Idn, ty le phu thudc ngfldi cao tuoi cang cao, toe dp tang dan s6 cang ldn, tai san nfldc ngoai rdng cang nhieu, cd tdc dp tang tntdng kinh te cang cao va vien trp nfldc ngoai cang nhieu thi cang cai thien dfldc can can vang lai. Ngfldc lai, thu tfl dau thd, dp md thfldng mai va dieu kien thfldng mai cd anh hfldng ngiidc chieu den tai khoin vang lai d mflc y nghia thong ke 1%. Dieu nay ham y r^ng, cac quoc gia cd thu tfl dau thd cang ldn, dp md cfla thflpng mai va dieu kien thfldng mai cang cao thi cang Iam giam tai khoan vang lai.
Cac kiem dinh ve sfl phii h p p ciia md hinh Udc Ifldng GMM he thong hai bflde deu chi ra, gia tri p-value cd y nghia cao. Ket qua cho thay, phfldng phap GMM he thdng hai bflde diidc sfl dung la phu hpp va cac fldc Ifldng tin cay, khdng bi sai lech. Cu the, kiem dinh AR{2) cd p-value ldn hdn 10% cho thay, khdng CO hicn tfldng tii tfldng quan trong md hinl- Dong thdi, ket qua kiem dinh Hansen
trong ca ba t n i d n g h p p deu khdng bac bd gia thuyet H^ hay cae bien cdng cu trong bai nghien cflu nay ed gia tri (khdng tiidng quan vdi phan dfl).
4.2. Ket qua hoi quy tinh vufng chac Tiep theo, nhdm tac gia fldc Ifldng lai phfldng trinh (2), ddng thdi them cac bien kiem soat khae vao md hinh theo de nghi ciia Reinhart va ctg (2013). Cac bien kiem soat dfldc dfla vao md hinh la Credit, Creditgr, Institutions va Reserve. Cac ket qua dfldc tim thay tiidng tfl eae ket qua dfldc phat hien khi chfla them eac bien kiem soat nay vao (Bang 4).
Ngoai ra, bien Credit the hien anh hfldng nghich chieu den tai khoan vang lai d mflc y nghia 10%. Dieu nay cho thay, tin dung khu vflc tfl nhan gia tang Iam giam tai khoan vang lai cua quoc gia. Toe dp tang tnidng tin dung (Creditgr) cd mdi quan he dong bien vdi tai khoan vang Iai d mflc y nghia thdng ke 10%, cho thay, tdc dp tang tnidng tin dung khu vflc tli nhan cang cao thi cing cai thien tai khoan vang lai. Tfldng tfl toe d0 tang trfldng tin dung khu viic tii nhan, chat Ifldng th^ che (Institutitons) va dfl trfl ngoai h6i (Reserve) cd tac dpng ddng bien den can can vang lai d mflc y nghia 10%. Cu the, sfl gia tang chat Ifldng the che cua quoc gia keo theo sfl gia tang cua tai khoan vang Iai. Ket qua nay phii hdp vdi Alfalo va ctg (2008), Papaioannou (2009), Brafu-Insaidoo va Biekpe (2014).
Cac qudc gia cd dfl trfl ngoai hdi cang ldn thi cang lam tang tai khoan vang lai. Dieu nay phu hpp vdi Reinhart va ctg (2013).
4.3. Nghien cflu sU kien
Cudi ciing, nhdm tae gia danh gia thdi diem cae quoe gia hpi n h i p tki chinh de xem xet moi quan he gifla can c i n vang lai va sfl hdi nhap tai chinh bang each sfl dung phfldng phap nghien cflu sfl kien. Theo Reinhart va ctg (2013), thdi diem quoc gia dflpc xac dinh hpi nhap tai ehinh la khi sfl gia tang cua chi so md tai khoan von (dflpc dai dien bang chi sd Kaopen) Idn hdn hoac b&ng 0,25, ngoai trfl cac trfldng hdp: (i) cd sfl giam luy ke trong sau
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- CONG NGHE NGAN HANG 9 7
DdNG V 6 N QUdC T I V A SU PHATTRIEN KINK li • VAI TRd CUA od MOTAI CHlNH
nam lien tiep (dilOc xac dinh la miic giam luy ke ciia chi so mcf tai khoan von Idn hcfn 0,125);
(ii) cac quoc gia da hoi nhap tai chinh (chi so Kaopen ldn hdn 1,79).
Sau khi xac dinh dUorc th6i diem cac quoc gia hpi nhap tai chinh, nhom tac gia tinh gia tri trung binh cua tai khoan ^ ^ g lai tnidc va sau thdi diem hoi nhap tai chinh. Dong thdi, nhdm tac gia chia mau thanh nhdm cac quoc gia cd thu nhap tren ngUdng (cac quoc gia co thu nhap cao) va nhdm cac quoc gia cd thu nhap dildi ngiidng (cac quoc gia cd thu nhap trung binh va thap). Hinh 1 the hien gia tri trung binh tai khoan vang lai tnidc va sau khi hdi nhap tai chinh d cac quoc gia cd thu nhap dudi va tren ngildng.
Ket qua trong Hinh 1 cho thay, d cac quoc gia cd thu nh^p tren (dddi) ngudng thi tai khoan vang lai trUdc hoi nhap thang dU (tham hut) nhieu hcfn so vdi sau hoi nhap. Dieu nay h ^ y rang, sau khi hpi nhap, cac quoc gia cd thu nhap tren (dUdi) ngUdng cd xu hUdng giam (cai thien) nhieu hPn can can vang Iai. Tti ckc ket qua nay cd the ket Iuan rang, dong von dang dupc chay tU cac quoc gia ngheo den cac quoc gia giau sau khi cac quoc gia hpi nhap tai chinh.
5. Ket luan va ham y chinh scc^
B ^ g viec sii dyng phUPng pha. :'^'P can cua Reinhart v^ ctg (2013) ket h > v. i phUPng phap Udc lupng GMM he thong hai bUdc de kiem dinh sU ton tai cua Nghich ly Lucas trong sU chuyen dich DVQT gifla cac quoc gia, nhdm nghien cdu di den ket lu^n rang, dp md tai chinh va sU PTKT cua quoc gia cd anh hUdng dang ke den dich chuyen DVQT. Cu the, viec hpi nhap tai chinh cd giup quoc gia nhan dUpc dong von dau tU tii cac qudc gia khac hay khong cdn phu thudc vao miic dd PTKT cua quoc gia nhan. Khi cac quoc gia hdi nhap t ^ chinh, ddng von chay tii cac quoc gia ngh^o sang cac qudc gia giau va dieu dd chijtng td sU ton tai ciia Nghich Iy Lucas trong mSu nghien cdu. Hdn the nfla, nghien cflu phat hien ring, trong boi canh hdi nhap tai chinh, so vdi cac qudc gia khac trong mau nghien cdu thi sU PTKT cao cua cac quoc gia khu vUc ASEAN va Vi?t Nam cho phep thu hut dflpc nhi^u von quoc te hpn. Ngoai ra, cac nhan to nhan khau hpc, chinh sach tai khda, chinh sach thUdng mai, vi th^ tai san nUdc ngoii rdng, sfl phat trien t^i chinh va chat lUpng the che c6 anh hudng ddng ke den DVQT.
Hinhl: Nghien CIJ'U sU kien triidcva sau hpi nhap ciia cac quoc gla cdthu nhap du'di vatren ngu'Sng
CONG NGHE NGAN HANG [ Thang3.2017 | So 132
N G U V E N T H I N G O C T R A N G • PHAN GIA Q U Y C N
Td cac ket qua nghien cflu dat dflpc, n h d m tac gia de xuat mdt sd ham y chinh sach ddi vdi cac qudc gia phat trien va dang phat trien:
Thti nhdt. doi vdi cac quoc gia phat trien, dS thu hut DVQT vao, cd the tang do m d tai chinh bang viec sfl dung cac chinh sach phu hpp cd anh hfldng den cac rang bupc tai khoan von. Ngflpe lai, cac quoc gia dang phat trien cd the giam dp m d tai chinh de cd the thu hut ddng von vao va cd the Idem soat cac rang bupc tai khoan von de ban che sfl chay ra ciia dong von.
Thii hai, Viet Nam va cac qudc gia trong khu vflc ASEAN cd the sfl dung chinh sach tien te va chinh sach tai khda phu h o p de thuc day sfl PTKT vdi muc dich thu hut manh hfln DVQT vao trong dieu kien Viet Nam va cac qudc gia
nay cd mflc dp hdi nhap tai chinh nhfl nhau.
Thii ba, ckc qudc gia cd the chu dpng hpn trong viec thu hut DVQT chay vao bang each kiem soat cac bien sd kinh te vT md nhu can can ngan sach, xuat, nhap khau, tin dung khu vflc tfl nhan, chat lUpng the che.
ThU tu, tuy rSng viec thu hut DVQT vao cd the mang Iai nhieu mat tich cUc ddi vdi nen kinh te qudc gia, nhUng cac nUdc can phai can nhac bdi vi cac cu soc cua dong vdn vao hoac ddng vdn ndng (hot money) hoac sfl thao chay cua ddng von (capital flight) cd the anh hfldng tieu cUc doi vdi qua trinh PTKT (Pastor, 1990;
Gusarova, 2009). Do do, cac qudc gia nen nghien cflu mflc dp hap thu DVQT, de tfl dd cd the quyet dinh nen thu hiit dong vdn vao hay dau tfl vdn ra nfldc ngoai.
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International capital flows and economic development: the role of financial openness
Nguyen Thi Ngoc Trang"' Phan Gia Quyen'^'
Received: 12 August 2016 I Revised: 02 March 2017 | Accepted: 10 March 2017
ABSTRACT: This paper uses the dataset from 89 developed and developing countries in the period 1995-2014 to analyze the movement of international capital flows, employing the neoclassical theory or Lucas paradox. By two-step system GMM estimation, it was found that (!) capita! only flows from poor countries to rich ones which are willingly to open to financial integration. In other words, Lucas paradox is confirmed in the following situations: (ii) the more economic development is promoted, the more Vietnam and ASEAN countries attract capital inflows; (iii) demographic and macroeconomics variables significantly affect capital inflows.
KEY WORDS: international capital flows, economic development, financial openness, two- step system GMM
S Nguyen Thi Ngoc Trang Email: [email protected].
Phan Gia Quyen
Email: [email protected].
im University of Economics Ho Chi Minh Cily
279 Nguyen Tri Phuong, Ward 5, District 10, Ho Chi Minh City.
,,, sa.gon Thuong Tin Commercial Joint Stock Bank . C-. - 268 Nam Ky Khoi Nghia, Ward 8, District 3, Ho Chi Mmh City.
S6132 Tnang3.2017 TAPCri)C6NGNGH6NGANHANG 1 0 1
